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Sub-sample Model Selection Procedures in Gets Modelling.

Abstract:

When the DGP is nested in the model, PcGets delivers high performance selection across different (unknown) states of nature. One of its steps involves sub-sample post-selection assessment, and here we consider its properties and investigate its practical application. The simulation results show that conditional on retaining a variable, sub-sample information cannot discriminate between substantive and adventitious significance. The Monte Carlo experiments also reveal that the sub-sample selec...

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David F. Hendry More by this author
Hans-Martin Krolzig More by this author
Volume:
2003-W17
Series:
Economics Series Working Papers
Publication date:
2003
URN:
uuid:5a4b0826-9365-4e75-936f-0d822765e279
Local pid:
oai:economics.ouls.ox.ac.uk:11918
Language:
English

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